Basic Backtesting and Systems

Basic Backtesting and Systems

allan nathan
2012-03-17 10:44:59

Hi,
I am migrating over from Amibroker,and would really appreciate it if you could point me in the direction of a very simple system that simply illustrates
a step by step procedure.

I can code systems in QS,but there are quite a few excellent features I am having difficulty wrapping my arms around and I can not locate the documentation.

It would be great if you could create a basic MA crossover system,with optimizable lengths and an optimizable position size as well.

Perhaps you could add a very simple rank and money management.

The more things you could illustrate in the basic system,the easier it will make my life:)

Are you planning on having Walk foward analysis??

Thank you,

Allan

QuantShare
2012-03-19 07:46:56

Allan,

Please read the following blog posts:
http://www.quantshare.com/sa-316-example-of-a-trading-system-implemented-in-quantshare-software
http://www.quantshare.com/sa-388-trading-system-buy-stocks-with-the-highest-sharpe-ratio
http://www.quantshare.com/sa-363-day-trading-a-trading-system-that-combines-intraday-and-eod-data

We will add more examples soon.

allan nathan
2012-03-19 08:28:08

thanks...I know how to apply the position size by simply changing the field for Number of positions.Does that work with fixed equity or variable equity?

Do you have a variable such as Positionsize=-5

as in 5% of equity?

QuantShare
2012-03-21 04:28:49

Best Answer

Variable equity.

When you set the number of position to 20 then every position will get about 5% of equity.

For a fixed dollar amount position sizing, use the following money management script:
Position Sizing: Fixed Dollar Amount

Position Sizing: Fixed Dollar Amount (by QuantShare, uploaded several months ago)

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